No, not always. I think in WILDs this is pretty common, or when you have a false awakening and become lucid. A lucid dream starts the moment you realise you're dreaming. Up until then it's just a normal dream pretty much. Let's say you were having a dream about being at a park and you became lucid by seeing a pruple elephant flying around and questioning it. That's when the dream went from being just a dream to a lucid dream. In that case it would have started in the park. So basically it can start anywhere, really.